Chances are your first will not be your last. In autoloaders, I started with 9mm, then tried .40 and .45. In the end I've decided that 9mm, for me, is the best caliber and G19 is the best Glock.
For self defense, 9mm is effective. It's fun to shoot and less expensive than other 'popular' calibers. But, thats just my perspective. (The .45 is also an awesome caliber.) Its hard to decide, I know.